Quantitative modelling of derivative securities: from theory to practice
Avellaneda, Marco; Laurence, Peter
Quantitative modelling of derivative securities: from theory to practice - Boca Raton Chapman & Hall/CRC 2000 - xii, 322p. 25 cm ; illustrations,Hard bound
$59.95
1. Arbitrage Pricing Theory: The One-Period Model --
2. The Binomial Option Pricing Model --
3. Analysis of the Black-Scholes Formula --
4. Refinements of the Binomial Model --
5. American-Style Options, Early Exercise, and Time-Optionality --
6. Trinomial Model and Finite-Difference Schemes --
7. Brownian Motion and Ito Calculus --
8. Introduction to Exotic Options: Digital and Barrier Options --
9. Ito Processes, Continuous-Time Martingales, and Girsanov's Theorem --
10. Continuous-Time Finance: An Introduction --
11. Valuation of Derivative Securities --
12. Fixed-Income Securities and the Term-Structure of Interest Rates --
13. The Health-Jarrow-Morton Theorem and Multidimensional Term-Structure Models.
Based primarily on the analysis of derivatives, this work emphasizes relative-value and hedging ideas applied to different financial instruments. It demonstrates how to take the basic ideas of arbitrage theory and apply them to the design and analysis of financial products.
1-58488-031-7
Portfolio Management
Derivative securities
Options (Finance)
Exotic options (Finance)
Quantitative modelling of derivative securities: from theory to practice - Boca Raton Chapman & Hall/CRC 2000 - xii, 322p. 25 cm ; illustrations,Hard bound
$59.95
1. Arbitrage Pricing Theory: The One-Period Model --
2. The Binomial Option Pricing Model --
3. Analysis of the Black-Scholes Formula --
4. Refinements of the Binomial Model --
5. American-Style Options, Early Exercise, and Time-Optionality --
6. Trinomial Model and Finite-Difference Schemes --
7. Brownian Motion and Ito Calculus --
8. Introduction to Exotic Options: Digital and Barrier Options --
9. Ito Processes, Continuous-Time Martingales, and Girsanov's Theorem --
10. Continuous-Time Finance: An Introduction --
11. Valuation of Derivative Securities --
12. Fixed-Income Securities and the Term-Structure of Interest Rates --
13. The Health-Jarrow-Morton Theorem and Multidimensional Term-Structure Models.
Based primarily on the analysis of derivatives, this work emphasizes relative-value and hedging ideas applied to different financial instruments. It demonstrates how to take the basic ideas of arbitrage theory and apply them to the design and analysis of financial products.
1-58488-031-7
Portfolio Management
Derivative securities
Options (Finance)
Exotic options (Finance)